An autoregressive jump process for common stock returns

A-Tier

Journal: Journal of Financial Economics

Year: 1977

Volume: 5

Issue: 3

Pages: 389-418

Authors (3)

Oldfield, George Jr. (not in RePEc) Rogalski, Richard J. (not in RePEc) Jarrow, Robert A. (Cornell University)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count